Positive finite difference schemes for a partial integro-differential option pricing model

Handle

https://riunet.upv.es/handle/10251/50839

Cita bibliográfica

Fakharany, M.; Company Rossi, R.; Jódar Sánchez, LA. (2014). Positive finite difference schemes for a partial integro-differential option pricing model. Applied Mathematics and Computation. 249:320-332. https://doi.org/10.1016/j.amc.2014.10.064

Titulación

Resumen

[EN] This paper provides a numerical analysis for European options under partial integro-differential Bates model. An explicit finite difference scheme has been used for the differential part, while the integral part has been approximated using the four-points open type formula. The stability and consistency have been studied. Moreover, conditions guaranteing positivity of the solutions are provided. Illustrative numerical examples are included.

Fuente

Applied Mathematics and Computation issn: 0096-3003

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